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  • 1. A. Alkhamisi, Mahdi
    et al.
    Shukur, Ghazi
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    Developing Ridge Parameters for SUR Model2008In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 37, no 4, p. 544-564Article in journal (Refereed)
  • 2.
    Ahmad, M. Rauf
    Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
    Testing homogeneity of several covariance matrices and multi-sample sphericity for high-dimensional data under non-normality2017In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 46, no 8, p. 3738-3753Article in journal (Refereed)
    Abstract [en]

    A test for homogeneity of g 2 covariance matrices is presented when the dimension, p, may exceed the sample size, n(i), i = 1, ..., g, and the populations may not be normal. Under some mild assumptions on covariance matrices, the asymptotic distribution of the test is shown to be normal when n(i), p . Under the null hypothesis, the test is extended for common covariance matrix to be of a specified structure, including sphericity. Theory of U-statistics is employed in constructing the tests and deriving their limits. Simulations are used to show the accuracy of tests.

  • 3.
    Ahmad, M. Rauf
    et al.
    Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
    Von Rosen, Dietrich
    Tests of Covariance Matrices for High Dimensional Multivariate Data Under Non Normality2015In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 44, no 7, p. 1387-1398Article in journal (Refereed)
    Abstract [en]

    Ahmad et al. (in press) presented test statistics for sphericity and identity of the covariance matrix of a multivariate normal distribution when the dimension, p, exceeds the sample size, n. In this note, we show that their statistics are robust to normality assumption, when normality is replaced with certain mild assumptions on the traces of the covariance matrix. Under such assumptions, the test statistics are shown to follow the same asymptotic normal distribution as under normality for large p, also whenp >> n. The asymptotic normality is proved using the theory of U-statistics, and is based on very general conditions, particularly avoiding any relationship between n and p.

  • 4.
    Ahmad, M. Rauf
    et al.
    Uppsala University, Sweden; Swedish University of Agriculture Science, Sweden.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology. Swedish University of Agriculture Science, Sweden.
    Tests of Covariance Matrices for High Dimensional Multivariate Data Under Non Normality2015In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 44, no 7, p. 1387-1398Article in journal (Refereed)
    Abstract [en]

    Ahmad et al. (in press) presented test statistics for sphericity and identity of the covariance matrix of a multivariate normal distribution when the dimension, p, exceeds the sample size, n. In this note, we show that their statistics are robust to normality assumption, when normality is replaced with certain mild assumptions on the traces of the covariance matrix. Under such assumptions, the test statistics are shown to follow the same asymptotic normal distribution as under normality for large p, also whenp greater thangreater than n. The asymptotic normality is proved using the theory of U-statistics, and is based on very general conditions, particularly avoiding any relationship between n and p.

  • 5.
    Alam, Md Moudud
    Sch Technol & Business Studies, Dalarna Univ, Falun, Sweden; Swedish Business Sch, Univ Örebro, Örebro, Sweden.
    Likelihood Prediction for Generalized Linear Mixed Models under Covariate Uncertainty2014In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 43, no 2, p. 219-234Article in journal (Refereed)
    Abstract [en]

    This article presents the techniques of likelihood prediction for the generalized linear mixed models. Methods of likelihood prediction are explained through a series of examples; from a classical one to more complicated ones. The examples show, in simple cases, that the likelihood prediction (LP) coincides with already known best frequentist practice such as the best linear unbiased predictor. This article outlines a way to deal with the covariate uncertainty while producing predictive inference. Using a Poisson errors-in-variable generalized linear model, it has been shown in certain cases that LP produces better results than already known methods.

  • 6.
    Alam, Moudud
    Dalarna University, School of Technology and Business Studies, Statistics.
    Likelihood prediction for generalized linear mixed models under covariate uncertainty2014In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 43, no 2, p. 219-234Article in journal (Refereed)
    Abstract [en]

    This paper presents the techniques of likelihood prediction for the generalized linear mixed models. Methods of likelihood prediction is explained through a series of examples; from a classical one to more complicated ones. The examples show, in simple cases, that the likelihood prediction (LP) coincides with already known best frequentist practice such as the best linear unbiased predictor. The paper outlines a way to deal with the covariate uncertainty while producing predictive inference. Using a Poisson error-in-variable generalized linear model, it has been shown that in complicated cases LP produces better results than already know methods.

  • 7.
    Alfelt, Gustav
    et al.
    Stockholm University, Faculty of Science, Department of Mathematics.
    Bodnar, Taras
    Stockholm University, Faculty of Science, Department of Mathematics.
    Tyrcha, Joanna
    Stockholm University, Faculty of Science, Department of Mathematics.
    Goodness-of-fit tests for centralized Wishart processes2019In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415XArticle in journal (Refereed)
    Abstract [en]

    In this paper we present several goodness-of-fit tests for the centralized Wishart process, a popular matrix-variate time series model used to capture the stochastic properties of realized covariance matrices. The new test procedures are based on the extended Bartlett decomposition derived from the properties of the Wishart distribution and allows to obtain sets of independently and standard normally distributed random variables under the null hypothesis. Several tests for normality and independence are then applied to these variables in order to support or to reject the underlying assumption of a centralized Wishart process. In order to investigate the influence of estimated parameters on the suggested testing procedures in the finite-sample case, a simulation study is conducted. Finally, the new test methods are applied to real data consisting of realized covariance matrices computed for the returns on six assets traded on the New York Stock Exchange.

  • 8. Alkamisi, M. A.
    et al.
    Khalaf, G.
    Shukur, Ghazi
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    Some Modifications for Choosing Ridge Parameters2006In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 35, no 11, p. 2005-2020Article in journal (Refereed)
  • 9.
    Almasri, Abdullah
    Linnaeus University, Faculty of Business, Economics and Design, Linnaeus School of Business and Economics.
    A New Approach for testing Periodicity2011In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 40, no 7, p. 1196-1217Article in journal (Refereed)
    Abstract [en]

    This paper describes testing for periodicity in the presence of FD processes. We

    propose two approaches for testing the periodicity based on Fisher’s test. The first

    one is performed using the periodogram which has been divided into different parts.

    The second one is based on the discrete wavelet transform. Properties of the tests are

    illustrated by means of Monte Carlo simulations.

  • 10.
    Andersson, Per Gösta
    Stockholm University, Faculty of Social Sciences, Department of Statistics.
    A classroom approach to the construction of Bayesian credible intervals of a Poisson mean2019In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415XArticle in journal (Refereed)
    Abstract [en]

    The Poisson distribution is here used to illustrate Bayesian inference concepts with the ultimate goal to construct credible intervals for a mean. The evaluation of the resulting intervals is in terms of mismatched priors and posteriors. The discussion is in the form of an imaginary dialog between a teacher and a student, who have met earlier, discussing and evaluating the Wald and score confidence intervals, as well as confidence intervals based on transformation and bootstrap techniques. From the perspective of the student the learning process is akin to a real research situation. The student is supposed to have studied mathematical statistics for at least two semesters.

  • 11.
    Ankargren, Sebastian
    et al.
    Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
    Jin, Shaobo
    Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
    On the least-squares model averaging interval estimator2018In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 47, no 1, p. 118-132Article in journal (Refereed)
    Abstract [en]

    In many applications of linear regression models, randomness due to model selection is commonly ignored in post-model selection inference. In order to account for the model selection uncertainty, least-squares frequentist model averaging has been proposed recently. We show that the confidence interval from model averaging is asymptotically equivalent to the confidence interval from the full model. The finite-sample confidence intervals based on approximations to the asymptotic distributions are also equivalent if the parameter of interest is a linear function of the regression coefficients. Furthermore, we demonstrate that this equivalence also holds for prediction intervals constructed in the same fashion.

  • 12. Bodnar, Rostyslav
    et al.
    Bodnar, Taras
    Stockholm University, Faculty of Science, Department of Mathematics.
    Schmid, Wolfgang
    Multivariate autoregressive extreme value process and its application for modeling the time series properties of the extreme daily asset prices2016In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 45, no 12, p. 3421-3440Article in journal (Refereed)
    Abstract [en]

    In this article we suggest a new multivariate autoregressive process for modeling time-dependent extreme value distributed observations. The idea behind the approach is to transform the original observations to latent variables that are univariate normally distributed. Then the vector autoregressive DCC model is fitted to the multivariate latent process. The distributional properties of the suggested model are extensively studied. The process parameters are estimated by applying a two-stage estimation procedure. We derive a prediction interval for future values of the suggested process. The results are applied in an empirically study by modeling the behavior of extreme daily stock prices.

  • 13.
    Broström, Göran
    Umeå University, Faculty of Social Sciences, Department of Statistics.
    A modification of Fisher's omnibus test1998In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 27, p. 2663-2674Article in journal (Refereed)
  • 14.
    Broström, Göran
    Umeå University, Faculty of Social Sciences, Department of Statistics.
    On sequentially rejective subset selection procedures1981In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. A10, no 3, p. 203-221Article in journal (Refereed)
  • 15.
    Bruce, Daniel
    Stockholm University, Faculty of Social Sciences, Department of Statistics.
    Some properties for a simplified Cox binary model2008In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 37, no 16, p. 2606-2616Article in journal (Refereed)
    Abstract [en]

    This article proposes a simplification of the model for dependent binary variables presented in Cox and Snell (1989). The new model referred to as the simplified Cox model is developed for identically distributed and dependent binary variables. Properties of the model are presented, including expressions for the log-likelihood function and the Fisher information. Under mutual independence, a general expression for the restrictions of the parameters are derived. The simplified Cox model is illustrated using a data set from a clinical trial.

  • 16.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Department of Economics.
    Brännäs, Eva
    Conditional Heteroskedasticity in Count Data Regression: Self-Feeding Activity in Fish2004In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 33, no 11, p. 2745-2758Article in journal (Refereed)
    Abstract [en]

    This paper introduces a new approach to incorporating time-dependent overdispersion for Poisson-related regression models. To handle the added flexibility in conditional heteroskedasticity in time series count data models, some well-known estimators are adapted, and a generalized method of moments (GMM) estimator is suggested. The estimators are applied to a time series of self-feeding activity in Arctic charr. There is strong support for both a dynamic conditional mean function and a dynamic model for the overdispersion.

  • 17.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    De Gooijer, J. G.
    Teräsvirta, T.
    Testing linearity against nonlinear moving average models1998In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 27, no 8, p. 2025-2035Article in journal (Refereed)
    Abstract [en]

    Lagrange multiplier (LM) test statistics are derived for testing a linear moving average model against an asymmetric moving average model and an LM type test against an additive smooth transition moving average model. The latter model is introduced in the paper. The small sample performance of the proposed tests are evaluated in a Monte Carlo study and compared to Wald and likelihood ratio statistics. The size properties of the Lagrange multiplier test are better than those of other tests.

  • 18.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Johansson, Per
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Time-series count data regression1994In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 23, no 10, p. 2907-2925Article in journal (Refereed)
    Abstract [en]

    The count data model studied in the paper extends the Poisson model by allowing for overdispersion and serial correlation. Alternative approaches to estimate nuisance parameters, required for the correction of the Poisson maximum likelihood covariance matrix estimator and for a quasi-likelihood estimator, are studied. The estimators are evaluated by finite sample Monte Carlo experimentation. It is found that the Poisson maximum likelihood estimator with corrected covariance matrix estimators provide reliable inferences for longer time series. Overdispersion test statistics are wellbehaved, while conventional portmanteau statistics for white noise have too large sizes. Two empirical illustrations are included.

  • 19.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Statistics.
    Uhlin, Stig
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Statistics.
    Improper use of the ordinary least-squares estimator in the switching regression-model1984In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 13, no 14, p. 1781-1791Article in journal (Refereed)
  • 20.
    Canhanga, Betuel
    et al.
    Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. Faculty of Sciences, Department of Mathematics and Computer Sciences, Eduardo Mondlane University, Maputo, Mozambique.
    Malyarenko, Anatoliy
    Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.
    Ni, Ying
    Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.
    Rancic, Milica
    Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.
    Silvestrov, Sergei
    Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.
    Analytical and Numerical Studies on the Second Order Asymptotic Expansion Method for European Option Pricing under Two-factor Stochastic Volatilities2018In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 47, no 6, p. 1328-1349Article in journal (Refereed)
    Abstract [en]

    The celebrated Black–Scholes model made the assumption of constant volatility but empirical studies on implied volatility and asset dynamics motivated the use of stochastic volatilities. Christoffersen in 2009 showed that multi-factor stochastic volatilities models capture the asset dynamics more realistically. Fouque in 2012 used it to price European options. In 2013 Chiarella and Ziveyi considered Christoffersen's ideas and introduced an asset dynamics where the two volatilities of the Heston type act separately and independently on the asset price, and using Fourier transform for the asset price process and double Laplace transform for the two volatilities processes, solved a pricing problem for American options. This paper considers the Chiarella and Ziveyi model and parameterizes it so that the volatilities revert to the long-run-mean with reversion rates that mimic fast(for example daily) and slow(for example seasonal) random effects. Applying asymptotic expansion method presented by Fouque in 2012, we make an extensive and detailed derivation of the approximation prices for European options. We also present numerical studies on the behavior and accuracy of our first and the second order asymptotic expansion formulas.

  • 21.
    Cronie, Ottmar
    et al.
    Stochastics, CWI, Amsterdam, The Netherlands.
    Yu, Jun
    Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
    The discretely observed immigration-death process: Likelihood inference and spatiotemporal applications2016In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 45, no 18, p. 5279-5298Article in journal (Refereed)
    Abstract [en]

    We consider a stochastic process, the homogeneous spatial immigration-death (HSID) process, which is a spatial birth-death process with as building blocks (i) an immigration-death (ID) process (a continuous-time Markov chain) and (ii) a probability distribution assigning iid spatial locations to all events. For the ID process, we derive the likelihood function, reduce the likelihood estimation problem to one dimension, and prove consistency and asymptotic normality for the maximum likelihood estimators (MLEs) under a discrete sampling scheme. We additionally prove consistency for the MLEs of HSID processes. In connection to the growth-interaction process, which has a HSID process as basis, we also fit HSID processes to Scots pine data.

  • 22.
    Dai, Deliang
    et al.
    Linnaeus University, School of Business and Economics, Department of Economics and Statistics.
    Holgersson, Thomas
    Linnaeus University, School of Business and Economics, Department of Economics and Statistics.
    Karlsson, Peter S.
    Linnaeus University, School of Business and Economics, Department of Economics and Statistics.
    Expected and unexpected values of Individual Mahalanobis Distances2017In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 46, no 18, p. 8999-9006Article in journal (Refereed)
    Abstract [en]

    This paper derives first-order sampling moments of individual Mahalanobis distances (MD) in cases when the dimension p of the variable is proportional to the sample size n. Asymptotic expected values when n, p → ∞ are derived under the assumption p/n → c, 0 ⩽ c < 1. It is shown that some types of standard estimators remain unbiased in this case, while others are asymptotically biased, a property that appears to be unnoticed in the literature. Second order moments are also supplied to give some additional insight to the matter.

  • 23. De Gooijer, JG
    et al.
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Invertibility of nonlinear time-series models1995In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 24, no 11, p. 2701-2714Article in journal (Refereed)
    Abstract [en]

    Sufficient conditions for invertibility of non-linear time series models are available in the literature only for a few special cases. In this paper a practical and general method for checking invertibility is presented. Briefly stated, it consists of feeding independent and identically distributed innovations into the non-linear model and then observing whether the model blows up or not. Using this idea invertibility conditions are derived for several recently proposed non-linear moving average models. Finally, the method is applied to a number of bilinear models fitted to economic time series.

  • 24.
    Ekheden, Erhard
    et al.
    Stockholm University.
    Silvestrov, Dmitrii
    Stockholm University.
    Coupling and explicit rates of convergence in Cramér-Lundberg approximation for          reinsurance risk processes2011In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 40, no 19-20, p. 3524-3539Article in journal (Refereed)
    Abstract [en]

    A classical result in risk theory is the Cramér-Lundberg approximation which says that under some general conditions the exponentially normalized ruin probability converges. In this article, we state an explicit rate of convergence for the Cramér-Lundberg approximation for ruin probabilities in the case where claims are bounded, which is realistic for, e.g., reinsurance models. The method, used to get the corresponding results, is based on renewal and coupling arguments.

  • 25.
    Ekheden, Erland
    et al.
    Stockholm University, Faculty of Science, Department of Mathematics.
    Silvestrov, Dmitrii
    Stockholm University, Faculty of Science, Department of Mathematics.
    Coupling and Explicit Rate of Convergence in Cramer-Lundberg Approximation for Reinsurance Risk Processes2011In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 40, no 19-20, p. 3524-3539Article in journal (Refereed)
    Abstract [en]

    A classical result in risk theory is the Cramer-Lundberg approximation which says that under some general conditions the exponentially normalized ruin probability converges. In this article, we state an explicit rate of convergence for the Cramer-Lundberg approximation for ruin probabilities in the case where claims are bounded, which is realistic for, e. g., reinsurance models. The method, used to get the corresponding results, is based on renewal and coupling arguments.

  • 26.
    Ekström, Magnus
    Department of Forest Resource Management and Geomatics, Swedish University of Agricultural Sciences, Umeå.
    Nonparametric estimation of the variance of sample means based on nonstationary spatial data2002In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 31, no 10, p. 1743-1775Article in journal (Refereed)
    Abstract [en]

    In Politis and Romano (Politis, D.N.; Romano, J.P. Nonparametric Resampling for Homogeneous Strong Mixing Random Fields. Journal of Multivariate Analysis 1993, 47, 301–328.), different block resampling estimators of variance of general linear statistics, e.g., a sample mean, were proposed under the assumption of stationarity. In the present paper such estimators of variance of sample means, computed from nonstationary spatially indexed data , where is a finite subset of the integer lattice , are studied. Consistency of estimators of variance will be shown for the following kind of data: Observations taken from different lattice points are allowed to come from different distributions, and the dependence structure is allowed to differ over the lattice. We assume that all observed values are from distributions with the same expected value, or with expected values that decompose additively into directional components. Furthermore, it will be assumed that observations separated by a certain distance are independent.

  • 27.
    Esa, Sahib
    et al.
    Luleå tekniska universitet.
    Boshnakov, Georgi
    Institute of Mathematics & Informatics, Bulgarian Academy of Sciences.
    Sufficient statistics for ARMA models with some fixed parameters1998In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 27, no 5, p. 1083-1099Article in journal (Refereed)
    Abstract [en]

    The likelihood function of ARMA processes with some fixed parameters is considered. An expression for it and a sufficient statistic are obtained. It is shown how the proposed approach can be used to obtain closed form expressions for the likelihood functions of some ARMA models. Applications to parameter estimation, hypothesis testing, speech processing and related problems are discussed

  • 28.
    Forchini, Giovanni
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Peng, Bin
    Modified first-difference estimator in a panel data model with unobservable factors both in the errors and the regressors when the time dimension is small2017In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 46, no 24, p. 12226-12239Article in journal (Refereed)
    Abstract [en]

    Panel data models with factor structures in both the errors and the regressors have received considerable attention recently. In these models, the errors and the regressors are correlated and the standard estimators are inconsistent. This paper shows that, for such models, a modified first-difference estimator (in which the time and the cross-sectional dimensions are interchanged) is consistent as the cross-sectional dimension grows but the time dimension is small. Although the estimator has a non standard asymptotic distribution, t and F tests have standard asymptotic distribution under the null hypothesis.

  • 29.
    Fornius, Ellinor Fackle
    et al.
    Stockholm University, Faculty of Social Sciences, Department of Statistics.
    Nyquist, Hans
    Stockholm University, Faculty of Social Sciences, Department of Statistics.
    Using the Canonical Design Space to Obtain c-Optimal Designs for the Quadratic Logistic Model2010In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 39, no 1, p. 144-157Article in journal (Refereed)
    Abstract [en]

    c-optimal designs for estimating the model parameters of the quadratic logistic regression model are considered. The designs are constructed via the canonical design space. It is shown that the number of design points varies between 1 and 4 depending on the parameter being estimated. Furthermore, formulae for finding the design points along with the corresponding design weights are derived.

  • 30.
    Gustafsson, Oskar
    et al.
    Stockholm University, Faculty of Social Sciences, Department of Statistics.
    Stockhammar, Pär
    Stockholm University, Faculty of Social Sciences, Department of Statistics. National Institute of Economic Research (NIER), Sweden.
    Variance stabilizing filters2019In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415XArticle in journal (Refereed)
    Abstract [en]

    In this paper new filters for removing unspecified form of heteroscedasticity are proposed. The filters build on the assumption that the variance of a pre-whitened time series can be viewed as a latent stochastic process by its own. This makes the filters flexible and useful in many situations. A simulation study shows that removing heteroscedasticity before fitting a model leads to efficiency gains and bias reductions when estimating the parameters of ARMA models. A real data study shows that pre-filtering can increase the forecasting precision of quarterly US GDP growth.

  • 31.
    Holgersson, Thomas
    Linnaeus University, School of Business and Economics, Department of Economics and Statistics. Jönköping University.
    A note on a commonly used ridge regression Monte Carlo design2015In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 44, no 10, p. 2176-2179Article in journal (Refereed)
    Abstract [en]

    Ridge estimators are usually examined through Monte Carlo simulations since their properties are difficult to obtain analytically. In this paper we argue that a simulation design commonly used in the literature will give biased results of Monte Carlo simulations in favour of ridge regression over ordinary least square (OLS) estimators. Specifically, it is argued that the properties of ridge estimators that are functions of pdistinct regressor eigenvalues should not be evaluated through Monte Carlo designs using only two distinct eigenvalues.

  • 32.
    Holgersson, Thomas
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    A Note on a commonly used ridge regression Monte Carlo design2014In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 44, no 10, p. 2176-2179Article in journal (Refereed)
    Abstract [en]

    Ridge estimators are usually examined through Monte Carlo simulations since their properties are difficult to obtain analytically. In this paper we argue that a simulation design commonly used in the literature will give biased results of Monte Carlo simulations in favour of ridge regression over ordinary least square (OLS) estimators. Specifically, it is argued that the properties of ridge estimators that are functions of p distinct regressor eigenvalues should not be evaluated through Monte Carlo designs using only two distinct eigenvalues.

  • 33.
    Holgersson, Thomas
    Högskolan i Jönköping.
    Robust Testing for Skewness2006In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 36, no 3, p. 485-498Article in journal (Refereed)
    Abstract [en]

    Statistical analysis frequently involves the problem of assessing distributional properties. This article concerns the problem of testing for skewness of random variables. It is argued that the classical skewness test is not very useful for this purpose, and another approach is suggested that is easy to implement and is also robust to heteroscedasticity. The size, power, and robustness properties of the proposed test is evaluated and compared to the classical skewness test by means of Monte Carlo simulations.

  • 34.
    Holgersson, Thomas
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    Robust Testing for Skewness2006In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 36, no 3, p. 485-498Article in journal (Refereed)
  • 35. Hyodo, Masashi
    et al.
    Shutoh, Nobumichi
    Seo, Takashi
    Pavlenko, Tatjana
    KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics. Tokyo Univ Sci, Fac Sci, Dept Math Informat Sci, Japan.
    Estimation of the covariance matrix with two-step monotone missing data2016In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 45, no 7, p. 1910-1922Article in journal (Refereed)
    Abstract [en]

    We suggest shrinkage based technique for estimating covariance matrix in the high-dimensional normal model with missing data. Our approach is based on the monotone missing scheme assumption, meaning that missing values patterns occur completely at random. Our asymptotic framework allows the dimensionality p grow to infinity together with the sample size, N, and extends the methodology of Ledoit and Wolf (2004) to the case of two-step monotone missing data. Two new shrinkage-type estimators are derived and their dominance properties over the Ledoit and Wolf (2004) estimator are shown under the expected quadratic loss. We perform a simulation study and conclude that the proposed estimators are successful for a range of missing data scenarios.

  • 36.
    Järpe, Eric
    Department of Statistics, Göteborg University, Göteborg, Sweden.
    Surveillance of the Interaction Parameter of the Ising Model1999In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 28, no 12, p. 3009-3027Article in journal (Refereed)
    Abstract [en]

    Surveillance to detect changes of spatial patterns is of interest in many areas such as environmental control and regional analysis. Here the interaction parameter of the Ising model, is considered. A minimal sufficient statistic and its asymptotic distribution are used. It is demonstrated that the convergence to normal distribution is rapid. The main result is that when the lattice is large, all approximations are better in several respects. It is shown that, for large lattice sizes, earlier results on surveillance of a normally distributed random variable can be used in cases of most interest. The expected delay of alarm at a fixed level of false alarm probability is examined for some examples. Copyright © 1999 by Marcel Dekker, Inc.

  • 37.
    Karlsson, Niklas
    Department of Economics, Umeå University, Umeå, Sweden.
    Testing for normality in censored regressions1999In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 28, no 7, p. 1635-1651Article in journal (Refereed)
    Abstract [en]

    This paper derives a Lagrange Multiplier test for normality in censored regressions. The test is derived against the generalized log-gamma distribution, in which normal is a special case. The resulting test statistic coincides to some extent with previously suggested score and conditional moment tests. Estimation of the variance is performed by using the matrix of second order derivatives in order to get an easy to use test statistic. Small sample performance of the test is studied and compared to other tests by Monte Carlo experiments.

  • 38.
    Khalaf, G
    et al.
    King Khalid University, Saudi Arabia.
    Månsson, Kristofer
    Jönköping University, Sweden.
    Sjölander, Pär
    Jönköping University, Sweden.
    Shukur, Ghazi
    Linnaeus University, School of Business and Economics, Department of Economics and Statistics. Jönköping University, Sweden.
    A Tobit Ridge Regression Estimator2014In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 43, no 1, p. 131-140Article in journal (Refereed)
    Abstract [en]

    This article analyzes the effects of multicollienarity on the maximum likelihood (ML) estimator for the Tobit regression model. Furthermore, a ridge regression (RR) estimator is proposed since the mean squared error (MSE) of ML becomes inflated when the regressors are collinear. To investigate the performance of the traditional ML and the RR approaches we use Monte Carlo simulations where the MSE is used as performance criteria. The simulated results indicate that the RR approach should always be preferred to the ML estimation method.

  • 39. Khalaf, G.
    et al.
    Shukur, Ghazi
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    Choosing Ridge Parameter for Regression Problems2005In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 34, no 5, p. 1177-1182Article in journal (Refereed)
  • 40. Khalaf, Ghadban
    et al.
    Månsson, Kristofer
    Shukur, Ghazi
    Linnaeus University, School of Business and Economics, Department of Economics and Statistics. Jönköping University.
    Modified Ridge Regression Estimators2013In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 42, no 8, p. 1476-1487Article in journal (Refereed)
    Abstract [en]

    Ridge Regression is a variant of ordinary multiple linear regression whose goal is to circumvent the problem of predictors collinearity. It gives-up the Ordinary Least Squares (OLS) estimator as a method for estimating the parameters of the multiple linear regression model . Different methods of specifying the ridge parameter k were proposed and evaluated in terms of Mean Square Error (MSE) by simulation techniques. Comparison is made with other ridge-type estimators evaluated elsewhere. The new estimators of the ridge parameters are shown to have very good MSE properties compared with the other estimators of the ridge parameter and the OLS estimator. Based on our results from the simulation study we may recommend the new ridge parameters to practitioners.

  • 41.
    Khalaf, Ghadban
    et al.
    Department of Mathematics, King Khalid University, Abha, Saudi Arabia.
    Månsson, Kristofer
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Shukur, Ghazi
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Modified Ridge Regression Estimators2013In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 42, no 8, p. 1476-1487Article in journal (Refereed)
    Abstract [en]

    Ridge regression is a variant of ordinary multiple linear regression whose goal is to circumvent the problem of predictors collinearity. It gives up the Ordinary Least Squares (OLS) estimator as a method for estimating the parameters [] of the multiple linear regression model [] . Different methods of specifying the ridge parameter k were proposed and evaluated in terms of Mean Square Error (MSE) by simulation techniques. Comparison is made with other ridge-type estimators evaluated elsewhere. The new estimators of the ridge parameters are shown to have very good MSE properties compared with the other estimators of the ridge parameter and the OLS estimator. Based on our results from the simulation study, we may recommend the new ridge parameters to practitioners.

  • 42.
    Khalaf, Ghadban
    et al.
    Department of Mathematics, King Khalid University, Saudi Arabia.
    Månsson, Kristofer
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Shukur, Ghazi
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    A Tobit Ridge Regression Estimator2014In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 43, no 1, p. 131-140Article in journal (Refereed)
    Abstract [en]

    This article analyzes the effects of multicollienarity on the maximum likelihood (ML) estimator for the Tobit regression model. Furthermore, a ridge regression (RR) estimator is proposed since the mean squared error (MSE) of ML becomes inflated when the regressors are collinear. To investigate the performance of the traditional ML and the RR approaches we use Monte Carlo simulations where the MSE is used as performance criteria. The simulated results indicate that the RR approach should always be preferred to the ML estimation method.

  • 43.
    Klefsjö, Bengt
    Luleå University of Technology, Department of Business Administration, Technology and Social Sciences, Business Administration and Industrial Engineering.
    Letter to the editor: An exact test for NBUE class of survival functions1994In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 23, no 8, p. 2417-2421Article in journal (Other academic)
  • 44.
    Klefsjö, Bengt
    Luleå University of Technology, Department of Business Administration, Technology and Social Sciences, Business Administration and Industrial Engineering.
    Some tests against aging based on the total time on test transform1983In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 12, no 8, p. 907-927Article in journal (Refereed)
    Abstract [en]

    Let F be a life distribution with survival function = 1 - F and finite mean The scaled total time on test transform was introduced by Barlow and Campo (1975) as a tool in the statistical analysis of life data. The aging properties IFR, IFRA, NBUE and DMRL can be translated to properties of ϕF(t). Guided by these properties of ϕF(t) we suggest some test statistics for testing exponentiality against IFR, IFRA, NBUE and DMRL, respectively. The IFR and IFRA tests are new; the NBUE and DMRL tests have already been proposed and stu- died by Hollander and Proschan (1975) . The exact and asymptotic distributions of the statistics are derived and the asymptotic efficiencies of the tests are studied. The power of some tests is estimated by simulation for some alternatives when the sample size is n = 10 or n = 20.

  • 45. Kollo, Tõnu
    et al.
    von Rosen, Tatjana
    Stockholm University, Faculty of Social Sciences, Department of Statistics.
    von Rosen, Dietrich
    Estimation in high-dimensional analysis and multivariate linear models2011In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 40, no 7, p. 1241-1253Article in journal (Refereed)
    Abstract [en]

    This article presents a new approach of estimating the parameters describing the mean structure in the Growth Curve model when the number of variables compared with the number of observations is large.

  • 46.
    Källberg, David
    et al.
    Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
    Seleznjev, Oleg
    Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
    Estimation of entropy-type integral functionals2016In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 45, no 4, p. 887-905Article in journal (Other academic)
    Abstract [en]

    Entropy-type integral functionals of densities are widely used in mathematical statistics, information theory, and computer science. Examples include measures of closeness between distributions (e.g., density power divergence) and uncertainty characteristics for a random variable (e.g., Renyi entropy). In this paper, we study U-statistic estimators for a class of such functionals. The estimators are based on ε-close vector observations in the corresponding independent and identically distributed samples. We prove asymptotic properties of the estimators (consistency and asymptotic normality) under mild integrability and smoothness conditions for the densities. The results can be applied in diverse problems in mathematical statistics and computer science (e.g., distribution identication problems, approximate matching for random databases, two-sample problems).

  • 47.
    Laukaityte, Inga
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Statistics.
    Wiberg, Marie
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Statistics.
    Importance of sampling weights in multilevel modeling of international large-scale assessment data2018In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 47, no 20, p. 4991-5012Article in journal (Refereed)
    Abstract [en]

    Multilevel modeling is an important tool for analyzing large-scale assessment data. However, the standard multilevel modeling will typically give biased results for such complex survey data. This bias can be eliminated by introducing design weights which must be used carefully as they can affect the results. The aim of this paper is to examine different approaches and to give recommendations concerning handling design weights in multilevel models when analyzing large-scale assessments such as TIMSS (The Trends in International Mathematics and Science Study). To achieve the goal of the paper, we examined real data from two countries and included a simulation study. The analyses in the empirical study showed that using no weights or only level 1 weights sometimes could lead to misleading conclusions. The simulation study only showed small differences in estimation of the weighted and unweighted models when informative design weights were used. The use of unscaled or not rescaled weights however caused significant differences in some parameter estimates.

  • 48.
    Laukaityte, Inga
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Statistics.
    Wiberg, Marie
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Statistics.
    Using plausible values in secondary analysis in large–scale assessments2017In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 46, no 22, p. 11341-11357Article in journal (Refereed)
    Abstract [en]

    Plausible values are typically used in large–scale assessment studies, in particular in the Trends in International Mathematics and Science Study and the Programme for International Student Assessment. Despite its large spread there are still some questions regarding the use of plausible values and how such use affects statistical analyses. The aim of this paper is to demonstrate the role of plausible values in large–scale assessment surveys when multilevel modelling is used. Different user strategies concerning plausible values for multilevel models as well as means and variances are examined. The results show that some commonly used user strategies give incorrect results while others give reasonable estimates but incorrect standard errors. These findings are important for anyone wishing to make secondary analyses of large–scale assessment data, especially those interested in using multilevel models to analyze the data.

  • 49.
    Li, Ying
    et al.
    Swedish University of Agriculture Science, Sweden .
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Maximum Likelihood Estimators in a Two Step Model for PLS2012In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 41, no 13-14, p. 2503-2511Article in journal (Refereed)
    Abstract [en]

    Univariate partial least squares regression (PLS1) is a method of modeling relationships between a response variable and explanatory variables, especially when the explanatory variables are almost collinear. The purpose is to predict a future response observation, although in many applications there is an interest to understand the contributions of each explanatory variable. It is an algorithmic approach. In this article, we are going to use the algorithm presented by Helland (1988). The population PLS predictor is linked to a linear model including a Krylov design matrix and a two-step estimation procedure. For the first step, the maximum likelihood approach is applied to a specific multivariate linear model, generating tools for evaluating the information in the explanatory variables. It is shown that explicit maximum likelihood estimators of the dispersion matrix can be obtained where the dispersion matrix, besides representing the variation in the error, also includes the Krylov structured design matrix describing the mean.

  • 50.
    Li, Yushu
    et al.
    Department of Economic and Statistics, Center for Labor Market Policy Research (CAFO), Linnaeus University, Sweden .
    Shukur, Ghazi
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    Wavelet Improvement of the Over-rejection of Unit root test under GARCH errors: An Application to Swedish Immigration Data2011In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 40, no 13, p. 2385-2396Article in journal (Refereed)
    Abstract [en]

    In this article, we use the wavelet technique to improve the over-rejection problem of the traditional Dickey-Fuller tests for unit root when the data is associated with volatility like the GARCH(1, 1) effect. The logic of this technique is based on the idea that the wavelet spectrum decomposition can separate out information of different frequencies in the data series. We prove that the asymptotic distribution of the test in the wavelet environment is still the same as the traditional Dickey-Fuller type of tests. The finite sample property is improved when the data suffers from GARCH error. The investigation of the size property and the finite sample distribution of the test is carried out by Monte Carlo experiment. An empirical example with data on the net immigration to Sweden during the period 1950-2000 is used to illustrate the performance of the wavelet improved test under GARCH errors. The results reveal that using the traditional Dickey-Fuller type of tests, the unit root hypothesis is rejected while our wavelet improved test do not reject as it is more robust to GARCH errors in finite samples.

123 1 - 50 of 113
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